Benchmark Return Errors from Omitting the Prior Month’s Closing Price

Summary

The post reports a discrepancy between a backtesting platform’s monthly return for the CSI 300 benchmark and an external reference calculation. It attributes the difference to the platform using the first day of the month’s closing price as the starting value, rather than the previous month’s closing price. In the example, the platform displays a 2.59% return, while the post reports a 3.2% monthly return from compounding daily returns that include the first day’s move.

The issue illustrates how a return window’s boundary convention can affect benchmark comparisons: excluding the first day’s return understates the reported month-to-date change when the prior close is the intended baseline. The post offers a specific diagnosis and example but does not include a reproducible dataset, platform response, or broader verification across dates and instruments. Researchers should confirm the calculation convention before comparing backtest benchmark returns with external index figures.

Key ideas

• The reported benchmark discrepancy is linked to the choice of starting price for the monthly return window.
• Using the first in-month close as the starting value omits the move from the prior month’s close.
• The post reports a 2.59% platform figure and a 3.2% alternative calculation for the example.
• Return-window boundaries should be checked when reconciling backtest results with external benchmarks.
• The report describes one case and does not establish that the issue affects all periods or instruments.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.